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confidence probability 1 financial assets 1 models 1 portfolio yields 1 value at risk 1
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Free 1
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Article 1
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ANGHELACHE, Gabriela-Victoria 1 KRALIK, Lorand 1 NEGRU, Andreea 1
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Romanian Statistical Review Supplement 1
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RePEc 1
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Methodology Concerning the Utilization of the Value at Risk
ANGHELACHE, Gabriela-Victoria; NEGRU, Andreea; KRALIK, … - In: Romanian Statistical Review Supplement 60 (2012) 4, pp. 162-169
The value at risk (VaR) represents an estimate, at a certain level of probability and under normal conditions of the market, for the maximal level of value loss that may be recorded by a portfolio of financial assets over an established time horizon. Originally, the VaR methodology has been used...
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